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Introduction to the Mathematics of Finance
Hardcover: 303 pages
Publisher: Springer; 2nd ed. 2012 edition (April 24, 2012)
Language: English
ISBN-10: 1461435811
ISBN-13: 978-1461435815
Formate: PDF
The Mathematics of Finance has been a hot
topic ever since the discovery of the Black-Scholes option
pricing formulas in 1973. Unfortunately, there are very few undergraduate
textbooks in this area. This book is specifically written for advanced
undergraduate or beginning graduate students in mathematics, finance
or economics. This book concentrates on discrete derivative pricing models,
culminating in a careful and complete derivation of the Black-Scholes option
pricing formulas as a limiting case of the Cox-Ross-Rubinstein discrete model.
This second edition is a complete rewrite of the first edition with significant
changes to the topic organization, thus making the book flow much more smoothly.
Several topics have been expanded such as the discussions of options, including
the history of options, and pricing nonattainable alternatives. In this edition
the material on probability has been condensed into fewer chapters, and the
material on the capital asset pricing model has been removed. The mathematics
is not watered down, but it is appropriate for the intended audience. Previous
knowledge of measure theory is not needed and only a small amount of linear
algebra is required. All necessary probability theory is developed throughout
the book on a
"need-to-know" basis. No background in finance is required, since the book
contains a chapter on options.
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